132 lines
3.8 KiB
Go
132 lines
3.8 KiB
Go
package llmjob
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import (
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"math"
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"github.com/banbox/banbot/config"
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"github.com/banbox/banbot/core"
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"github.com/banbox/banbot/orm/ormo"
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"github.com/banbox/banbot/strat"
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ta "github.com/banbox/banta"
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)
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func J7046(pol *config.RunPolicyConfig) *strat.TradeStrat {
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// 定义可调超参数
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smaPeriod := pol.DefInt("smaPeriod", 22, core.PNorm(10, 50))
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mult := pol.Def("mult", 1.0, core.PNorm(0.8, 3.0))
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trailingLossPct := pol.Def("trailingLossPct", 0.075, core.PNorm(0.03, 0.15))
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trailingPointsPct := pol.Def("trailingPointsPct", 0.05, core.PNorm(0.01, 0.10))
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trailingOffsetPct := pol.Def("trailingOffsetPct", 0.005, core.PNorm(0.001, 0.02))
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return &strat.TradeStrat{
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Name: "Bollinger Band Breakout",
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WarmupNum: smaPeriod + 10, // 预热K线数量
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HedgeOff: true, // 单向持仓模式
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EachMaxLong: 1, // 最多1个多单
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EachMaxShort: 1, // 最多1个空单
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TimeFrames: "8h",
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OnBar: func(s *strat.StratJob) {
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e := s.Env
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closePrice := e.Close.Get(0)
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// 检查数据有效性
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if math.IsNaN(closePrice) {
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return
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}
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// 计算布林带指标
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upper, _, lower := ta.BBANDS(e.Close, smaPeriod, mult, mult)
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// 检测突破信号
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longSignal := e.Close.Cross(upper) // 上穿上轨，返回1表示上穿
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shortSignal := e.Close.Cross(lower) // 下穿下轨，返回-1表示下穿
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// 多头入场逻辑
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if longSignal == 1 && len(s.LongOrders) == 0 {
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s.OpenOrder(&strat.EnterReq{
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Tag: "long",
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Short: false,
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OrderType: core.OrderTypeMarket,
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})
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}
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// 空头入场逻辑
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if shortSignal == -1 && len(s.ShortOrders) == 0 {
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s.OpenOrder(&strat.EnterReq{
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Tag: "short",
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Short: true,
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OrderType: core.OrderTypeMarket,
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})
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}
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// 更新追踪止损
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updateTrailingStop(s, closePrice, trailingLossPct, trailingPointsPct, trailingOffsetPct)
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},
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}
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}
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// 更新追踪止损的辅助函数
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func updateTrailingStop(s *strat.StratJob, closePrice, lossPct, pointsPct, offsetPct float64) {
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// 处理多头仓位的追踪止损
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for _, order := range s.LongOrders {
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if order.Status >= 2 { // 已入场
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entryPrice := order.Enter.Average
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maxLossPrice := entryPrice * (1 - lossPct) // 最大损失价格
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activationPrice := entryPrice * (1 + pointsPct) // 激活追踪的价格
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// 获取当前止损信息
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currentStop := order.GetStopLoss()
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var newStopPrice float64
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// 判断是否已激活追踪止损
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if closePrice >= activationPrice {
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// 已激活，使用偏移量计算止损
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newStopPrice = closePrice * (1 - offsetPct)
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} else {
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// 未激活，使用最大损失作为止损
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newStopPrice = maxLossPrice
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}
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// 只有当新止损价格更优（更高）时才更新
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if currentStop == nil || newStopPrice > currentStop.Price {
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order.SetStopLoss(&ormo.ExitTrigger{
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Price: newStopPrice,
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Tag: "trailing_stop",
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})
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}
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}
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}
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// 处理空头仓位的追踪止损
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for _, order := range s.ShortOrders {
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if order.Status >= 2 { // 已入场
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entryPrice := order.Enter.Average
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maxLossPrice := entryPrice * (1 + lossPct) // 最大损失价格
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activationPrice := entryPrice * (1 - pointsPct) // 激活追踪的价格
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// 获取当前止损信息
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currentStop := order.GetStopLoss()
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var newStopPrice float64
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// 判断是否已激活追踪止损
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if closePrice <= activationPrice {
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// 已激活，使用偏移量计算止损
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newStopPrice = closePrice * (1 + offsetPct)
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} else {
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// 未激活，使用最大损失作为止损
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newStopPrice = maxLossPrice
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}
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// 只有当新止损价格更优（更低）时才更新
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if currentStop == nil || newStopPrice < currentStop.Price {
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order.SetStopLoss(&ormo.ExitTrigger{
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Price: newStopPrice,
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Tag: "trailing_stop",
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})
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}
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}
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}
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}
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